Articles tagged by Predictability

New research by Pragma Trading shows that while the situation has eased, there is still a degree of predictability around the direction of the London 4pm WM/Reuters Fix.
In research last year, Pragma showed that the widespread use of TWAP (trade weighted average price) algorithms by executing agents during the Fix, had led to predictable trading patterns that were not only observable but also tradable, however it now says that the momentum pattern has “deteriorated to the point it provides no value”.